IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/f79e4d82-a653-4dd6-b189-7dce7c6aaa28.html
   My bibliography  Save this paper

On the numerical inversion of busy-period related transforms

Author

Listed:
  • Blanc, J.P.C.

    (Tilburg University, School of Economics and Management)

Abstract

No abstract is available for this item.

Suggested Citation

  • Blanc, J.P.C., 2002. "On the numerical inversion of busy-period related transforms," Other publications TiSEM f79e4d82-a653-4dd6-b189-7, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:f79e4d82-a653-4dd6-b189-7dce7c6aaa28
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/486757/on_the_numerical_inversion.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Joseph Abate & Ward Whitt, 1995. "Numerical Inversion of Laplace Transforms of Probability Distributions," INFORMS Journal on Computing, INFORMS, vol. 7(1), pages 36-43, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. J.P.C. Blanc, 2002. "Computation of Autocorrelations of Interdeparture Times by Numerical Transform Inversion," Annals of Operations Research, Springer, vol. 112(1), pages 83-100, April.
    2. J.P.C. Blanc, 2002. "Computation of Autocorrelations of Interdeparture Times by Numerical Transform Inversion," Annals of Operations Research, Springer, vol. 112(1), pages 83-100, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dassios, Angelos & Lim, Jia Wei, 2013. "Parisian option pricing: a recursive solution for the density of the Parisian stopping time," LSE Research Online Documents on Economics 58985, London School of Economics and Political Science, LSE Library.
    2. Chenxu Li, 2016. "Bessel Processes, Stochastic Volatility, And Timer Options," Mathematical Finance, Wiley Blackwell, vol. 26(1), pages 122-148, January.
    3. Shu, Yin & Feng, Qianmei & Liu, Hao, 2019. "Using degradation-with-jump measures to estimate life characteristics of lithium-ion battery," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
    4. David H Collins & Richard L Warr & Aparna V Huzurbazar, 2013. "An introduction to statistical flowgraph models for engineering systems," Journal of Risk and Reliability, , vol. 227(5), pages 461-470, October.
    5. C. E. Phelan & D. Marazzina & G. Germano, 2020. "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," Quantitative Finance, Taylor & Francis Journals, vol. 20(6), pages 899-918, June.
    6. Harrison, Peter G., 2024. "On the numerical solution of functional equations with application to response time distributions," Applied Mathematics and Computation, Elsevier, vol. 472(C).
    7. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.
    8. Božidar Popović & Saralees Nadarajah & Miroslav Ristić, 2013. "A new non-linear AR(1) time series model having approximate beta marginals," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(1), pages 71-92, January.
    9. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2024. "Efficient inverse $Z$-transform and Wiener-Hopf factorization," Papers 2404.19290, arXiv.org, revised May 2024.
    10. Bertsimas, Dimitris., 1995. "Transient laws of non-stationary queueing systems and their applications," Working papers 3836-95., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    11. Dragut, A.B. & Bertrand, J.W.M., 2008. "A representation model for the solving-time distribution of a set of design tasks in new product development (NPD)," European Journal of Operational Research, Elsevier, vol. 189(3), pages 1217-1233, September.
    12. Corsaro, Stefania & Kyriakou, Ioannis & Marazzina, Daniele & Marino, Zelda, 2019. "A general framework for pricing Asian options under stochastic volatility on parallel architectures," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1082-1095.
    13. Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2021. "Random variate generation for exponential and gamma tilted stable distributions," LSE Research Online Documents on Economics 108593, London School of Economics and Political Science, LSE Library.
    14. Yu, Miaomiao & Tang, Yinghui & Liu, Liping & Cheng, Jiang, 2013. "A phase-type geometric process repair model with spare device procurement and repairman’s multiple vacations," European Journal of Operational Research, Elsevier, vol. 225(2), pages 310-323.
    15. Ramsay, Colin M., 2003. "A solution to the ruin problem for Pareto distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 109-116, August.
    16. Phelan, Carolyn E. & Marazzina, Daniele & Fusai, Gianluca & Germano, Guido, 2018. "Fluctuation identities with continuous monitoring and their application to the pricing of barrier options," European Journal of Operational Research, Elsevier, vol. 271(1), pages 210-223.
    17. Lateef T. Akanji & Gabriel K. Falade, 2018. "Closed-Form Solution of Radial Transport of Tracers in Porous Media Influenced by Linear Drift," Energies, MDPI, vol. 12(1), pages 1-29, December.
    18. van Eekelen, Wouter, 2023. "Distributionally robust views on queues and related stochastic models," Other publications TiSEM 9b99fc05-9d68-48eb-ae8c-9, Tilburg University, School of Economics and Management.
    19. Runhuan Feng & Pingping Jiang & Hans Volkmer, 2020. "Geometric Brownian motion with affine drift and its time-integral," Papers 2012.09661, arXiv.org.
    20. Peter Braunsteins & Sophie Hautphenne & Peter G. Taylor, 2016. "The roles of coupling and the deviation matrix in determining the value of capacity in M/M/1/C queues," Queueing Systems: Theory and Applications, Springer, vol. 83(1), pages 157-179, June.

    More about this item

    JEL classification:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:f79e4d82-a653-4dd6-b189-7dce7c6aaa28. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.